The reason why is because this wasn't made in Unity, this was made in Clickteam Fusion 2.5 which is mostly known for being the Engine Scott Cawthon used to make Five Nights at Freddy's, and unlike Unity, this engine doesn't have a bunch of separate files that get exported along with the game when you build the project and instead has only one .exe file, which is the game. Hope this explains everything. :)